Here is what I did: (I am using Windows 2000)

1) Install the Console plugin (Plugins > Plugin Manager > Install Plugins)
2) Create a macro to invoke the compiler. Either:

Macro > Record Macro, then open the Console and type:

cd ${d}

[compiler command] ${f}

e.g. I am using DigitalMars C++ compiler so the second line for me would be "dmc ${f}"

Macro > Stop Recording, then save your new Macro.

Create a new page and type:

runCommandInConsole(view,"System","cd ${d}");

runCommandInConsole(view,"System","dmc ${f}");

* Change "dmc" in the second line to match whatever command runs your compiler.

Save it as a .bsh file in C:\Documents and Settings\[user]\.jedit\macros.

This will allow you to compile whatever file is currently being viewed.

A few notes:
- ${d} returns the directory path of the current file. When creating the Macros, if you do not want the resulting .exe (and associated files) in the same directory as the file being compiled, change the path accordingly in Step 3.
- ${f} returns the current file name.
- As an aside, I have noticed that running C++ exe's that require user input (e.g. std::cin >> x) doesn't work well in the jEdit Console-- it doesn't stop to allow user input; it runs as if the user entered nothing. (If I run the same exe's from a DOS prompt, it works fine, but I am still new to both C++ and jEdit, so maybe it's me.)

I am not sure if the above qualifies as "simple", but once it is set up, it works well. Type-type-type, save, shortcut key to compile, drops me right into the Console, run the .exe, hooray I am happy. (Admittedly, I am not sure how useful this is for more advanced C++ projects, but for short, smaller programs-- as when learning C++-- it is dandy.)